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SAFIR: A Simple API for Financial Information Requests

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  • Nicolas Chapados

Abstract

We describe a general structure allowing to represent in a regular and extensible way all the financial data available in a research laboratory (at present, the Adaptive Computer Systems Laboratory of the Université de Montréal). After an analysis of field, we clarify the XML representation of information and introduce a C++ interface allowing to reach it by a powerful mechanism of requests. We describe in appendix a methodology allowing to find the option strike prices from databases containing only the prices and the ticker symbols; this methodology is robust in the presence of irregular strike prices (not corresponding to the tickers). Nous décrivons une structure générale permettant de représenter de manière régulière et extensible toutes les données financières disponibles dans un laboratoire de recherche (présentement, le Laboratoire d'informatique des systèmes adaptatifs de l'Université de Montréal). Après une analyse de domaine, nous explicitons la représentation XML de l'information et introduisons une interface C++ permettant d'y accéder par un mécanisme de requêtes puissant. Nous décrivons en appendice une méthodologie permettant de retrouver les prix d'exercice (strikes) d'options depuis des bases de données contenant seulement des prix et les "ticker symbols""; cette méthodologie est robuste en présence de prix d'exercice irréguliers (qui ne correspondent pas aux tickers)."

Suggested Citation

  • Nicolas Chapados, 2003. "SAFIR: A Simple API for Financial Information Requests," CIRANO Working Papers 2003s-21, CIRANO.
    • Handle: RePEc:cir:cirwor:2003s-21
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    File URL: https://cirano.qc.ca/files/publications/2003s-21.pdf
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